Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0114
Annualized Std Dev 0.2560
Annualized Sharpe (Rf=0%) -0.0445

Row

Daily Return Statistics

Close
Observations 3445.0000
NAs 1.0000
Minimum -0.1176
Quartile 1 -0.0076
Median 0.0007
Arithmetic Mean 0.0001
Geometric Mean 0.0000
Quartile 3 0.0079
Maximum 0.1538
SE Mean 0.0003
LCL Mean (0.95) -0.0005
UCL Mean (0.95) 0.0006
Variance 0.0003
Stdev 0.0161
Skewness -0.0856
Kurtosis 8.9270

Downside Risk

Close
Semi Deviation 0.0117
Gain Deviation 0.0113
Loss Deviation 0.0123
Downside Deviation (MAR=210%) 0.0163
Downside Deviation (Rf=0%) 0.0116
Downside Deviation (0%) 0.0116
Maximum Drawdown 0.5703
Historical VaR (95%) -0.0239
Historical ES (95%) -0.0388
Modified VaR (95%) -0.0239
Modified ES (95%) -0.0361
From Trough To Depth Length To Trough Recovery
2011-05-02 2016-01-20 NA -0.5703 2489 1188 NA
2008-05-20 2009-03-02 2010-10-13 -0.5453 606 197 409
2007-07-24 2007-08-16 2007-09-27 -0.1636 47 18 29
2007-11-01 2008-02-06 2008-05-16 -0.1613 136 66 70
2011-01-04 2011-03-16 2011-03-30 -0.0669 60 50 10

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2007 NA NA NA NA NA NA -2 3.3 2.9 -3.4 0.5 -0.8 0.3
2008 2 -2.4 2.8 1.2 -0.3 -2.1 -0.3 -0.9 -0.6 2.6 -5.8 -0.2 -4.3
2009 -2 -0.6 3.9 1 2.9 1.6 0.7 -1.7 -2.1 -4.6 1.6 0.4 0.9
2010 2.1 1.7 2.2 -1.3 -2.3 0.7 0.9 2.4 1.3 0.7 2.4 0.7 12.1
2011 1.9 -1.1 1.4 0.9 -1.1 1.1 0.4 -0.5 -3.1 -1.7 -0.5 -0.2 -2.7
2012 2 1.5 0.9 0.5 -2.3 3.8 0.2 1 0.9 1.6 0.1 1.7 12.4
2013 0.8 0.4 -0.8 -1.3 -2 0.2 1.2 0.6 1.8 -0.3 0.6 0.6 1.9
2014 0.1 -0.7 0.5 0.1 -1.4 0.6 0.5 -0.4 -1.5 0 -1.3 -0.8 -4.2
2015 -2.2 0.1 1.7 0.5 -0.8 -0.7 0.6 -3.6 -0.2 0.3 0.6 -0.1 -3.8
2016 -1.6 3.3 0 -0.4 0 0.8 -0.5 0.4 0.5 -0.7 -0.6 -0.3 0.6
2017 0.1 1.2 -0.8 0.3 0.7 1.1 0.2 0.7 1 0.2 -0.3 0.9 5.4
2018 -0.4 -0.2 1.6 -0.5 1.2 1.6 -0.7 1.2 0.5 2.6 -0.4 -0.1 6.4
2019 -0.8 0.2 1.4 -1 0.3 1 -2.2 0.7 -0.7 1.9 -1.4 0.5 0.1
2020 -2.4 -1.1 -3.2 -3.2 2 1.4 -0.9 0.6 0.6 -0.7 2.2 -0.1 -5.1
2021 1.5 1.8 0.8 NA NA NA NA NA NA NA NA NA 4.2

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld   ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>   <dbl>    <dbl>
1 2007-07-13  51.9 SPY    155.  0.003    0.0122   0.0195   0.0656    0.228    0.384    0.667 GLD    66.0  0.0002   0.0165
2 2007-07-16  51.6 SPY    155. -0.0001   0.012    0.0129   0.0554    0.249    0.388    0.686 GLD    65.8 -0.0032   0.0067
3 2007-07-17  51.6 SPY    155. -0.0005   0.0254   0.011    0.0521    0.253    0.397    0.676 GLD    65.8 -0.0011   0.0021
4 2007-07-18  51.4 SPY    154. -0.0018   0.0163   0.0103   0.0489    0.252    0.395    0.706 GLD    66.6  0.0132   0.018 
5 2007-07-19  51.6 SPY    155.  0.0039   0.0044   0.0117   0.0533    0.251    0.407    0.709 GLD    67.0  0.0059   0.015 
6 2007-07-20  51.3 SPY    154. -0.0101  -0.0087   0.0156   0.0328    0.221    0.375    0.748 GLD    67.6  0.0085   0.0235
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart